Sparse covariance estimation.
Add a Covariance object to the API.
Given a Problem object and a set of parameter block pairs the
Covariance object computes a sparse covariance matrix corresponding
to those block pairs and provides random access to them.
Constant parameter blocks and parameter blocks with local parameterizations
are correctly handled.
Sparse and dense implementations are provided. With the dense implementation
rank deficient Jacobians can also be handled.
Parts of the code are threaded using OpenMP if available.
Change-Id: I5b49583b3d79579df3e0f334c22567acb23ed4ad
diff --git a/internal/ceres/covariance_impl.h b/internal/ceres/covariance_impl.h
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+// Ceres Solver - A fast non-linear least squares minimizer
+// Copyright 2013 Google Inc. All rights reserved.
+// http://code.google.com/p/ceres-solver/
+//
+// Redistribution and use in source and binary forms, with or without
+// modification, are permitted provided that the following conditions are met:
+//
+// * Redistributions of source code must retain the above copyright notice,
+// this list of conditions and the following disclaimer.
+// * Redistributions in binary form must reproduce the above copyright notice,
+// this list of conditions and the following disclaimer in the documentation
+// and/or other materials provided with the distribution.
+// * Neither the name of Google Inc. nor the names of its contributors may be
+// used to endorse or promote products derived from this software without
+// specific prior written permission.
+//
+// THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS"
+// AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
+// IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE
+// ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR CONTRIBUTORS BE
+// LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR
+// CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF
+// SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS
+// INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN
+// CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE)
+// ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE, EVEN IF ADVISED OF THE
+// POSSIBILITY OF SUCH DAMAGE.
+//
+// Author: sameeragarwal@google.com (Sameer Agarwal)
+
+#ifndef CERES_INTERNAL_COVARIANCE_IMPL_H_
+#define CERES_INTERNAL_COVARIANCE_IMPL_H_
+
+#include <map>
+#include <set>
+#include <utility>
+#include <vector>
+#include "ceres/covariance.h"
+#include "ceres/internal/scoped_ptr.h"
+#include "ceres/problem_impl.h"
+#include "ceres/suitesparse.h"
+
+namespace ceres {
+
+namespace internal {
+
+class CompressedRowSparseMatrix;
+
+class CovarianceImpl {
+ public:
+ explicit CovarianceImpl(const Covariance::Options& options);
+ ~CovarianceImpl();
+
+ bool Compute(
+ const vector<pair<const double*, const double*> >& covariance_blocks,
+ ProblemImpl* problem);
+
+ bool GetCovarianceBlock(const double* parameter_block1,
+ const double* parameter_block2,
+ double* covariance_block) const;
+
+ bool ComputeCovarianceSparsity(
+ const vector<pair<const double*, const double*> >& covariance_blocks,
+ ProblemImpl* problem);
+
+ bool ComputeCovarianceValues();
+ bool ComputeCovarianceValuesUsingSuiteSparse();
+ bool ComputeCovarianceValuesUsingEigen();
+
+ const CompressedRowSparseMatrix* covariance_matrix() const {
+ return covariance_matrix_.get();
+ }
+
+ private:
+ ProblemImpl* problem_;
+ Covariance::Options options_;
+ Problem::EvaluateOptions evaluate_options_;
+ map<const double*, int> parameter_block_to_row_index_;
+ set<const double*> constant_parameter_blocks_;
+ scoped_ptr<CompressedRowSparseMatrix> covariance_matrix_;
+ SuiteSparse ss_;
+};
+
+} // namespace internal
+} // namespace ceres
+
+#endif // CERES_INTERNAL_COVARIANCE_IMPL_H_
